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Investor sentiment, order submission, and investment performance on the Taiwan Stock Exchange

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  • Hung, Pi-Hsia

Abstract

We examine investor sentiment, order submission decisions, and investment performance on the Taiwan Stock Exchange. We first specifically investigate whether investor sentiment affects investors' order aggressiveness and/or order size. Second, we empirically analyze the relation between investor sentiment and order submission strategies across various investor classes. Third and finally, we examine the relation between investor sentiment, order submission decisions, and the short- and long-term investment performance. Our analysis yields the following findings: 1) People's order submission behavior is quite different in optimistic versus pessimistic periods. 2) Buy and sell orders demonstrate different patterns and asymmetric effects. 3) The sensitivity of order submission decisions on investor sentiment is significantly different across different trader classes. 4) Mutual funds, compared with other investors, perform better on the Taiwan Stock Exchange.

Suggested Citation

  • Hung, Pi-Hsia, 2016. "Investor sentiment, order submission, and investment performance on the Taiwan Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 39(C), pages 124-140.
    • Handle: RePEc:eee:pacfin:v:39:y:2016:i:c:p:124-140
    DOI: 10.1016/j.pacfin.2016.06.005
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    3. Shangkari V. Anusakumar & Ruhani Ali, 2017. "Momentum and Investor Sentiment: Evidence from Asian Stock Markets," Capital Markets Review, Malaysian Finance Association, vol. 25(1), pages 26-42.
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    8. Lien, Donald & Hung, Pi-Hsia & Lin, Zong-Wei, 2020. "Whose trades move stock prices? Evidence from the Taiwan Stock Exchange," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 25-50.
    9. Gaoshan Wang & Guangjin Yu & Xiaohong Shen, 2020. "The Effect of Online Investor Sentiment on Stock Movements: An LSTM Approach," Complexity, Hindawi, vol. 2020, pages 1-11, December.
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    More about this item

    Keywords

    Investor types; Microstructure; Order aggressiveness; Order size; Sentiment index; Trading behavior;
    All these keywords.

    JEL classification:

    • D10 - Microeconomics - - Household Behavior - - - General
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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